STATISTICAL ANALYSIS OF MARKETS

Academic year
2020/2021 Syllabus of previous years
Official course title
STATISTICAL ANALYSIS OF MARKETS
Course code
EM1064 (AF:303634 AR:167218)
Modality
On campus classes
ECTS credits
6
Degree level
Master's Degree Programme (DM270)
Educational sector code
SECS-S/03
Period
2nd Term
Course year
2
Where
TREVISO
Moodle
Go to Moodle page
The course aims to introduce some statistical tools for time series analysis needful for better understanding international markets and to develop students' skills to apply the knowledge transmitted during the course to the real context. In this way, students will be able to independently conduct a study of international markets and present the results of their analysis.
Students at the end of the course should:
1. Know the main models for the analysis of data collected over time (historical series);
2. Know how to apply the knowledge learned during the course to the real context, using appropriate software;
3. Be able to autonomously conduct a study of a historical series and to present the results of the analysis.
Basic knowledge of calculus, probability and statistics at the level of an introductory bachelor course.
Time series: definition and features
Descriptive techniques
Statistical models for time series: ARIMA model.
Integrated and cointegrated time series
The Autoregressive Distributed Lag Model
The Error Correction Model
Forecasting.

Cowpertwait P.S.P. and Metcalfe A.V.(2009) Introductory time series with R, Dordrecht, Springer
Grading is based on a final written exam. The exam is closed-notes and closed-book, but you are allowed to use a pocket calculator and. Failing to register for the exam is sufficient cause for denying admission.
Lectures, practice sessions, and tutorials.
English
written and oral
Definitive programme.
Last update of the programme: 23/10/2020